AQR Large Cap Defensive Style Fund
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- daily nav $24.81
- change $0.13
- daily return 0.53%
- inception date 7/9/2012
- AUM $3801MM
Investment Objective
A Lower Risk Equity Solution
The AQR Large Cap Defensive Style Fund pursues a defensive strategy that seeks to provide exposure to the U.S. market with lower risk through active stock selection, risk management and diversification.
Investment Approach
Many investors have become more focused on downside protection. Defensive Equity strategies seek to address this concern for stock market investors by focusing on stocks that have been more stable and less volatile, seeking to provide market-like returns with lower risk.
The investment universe for the Fund is comprised of U.S. equities, including large-cap and mid-cap companies included in the Russell 1000 Index.
The Fund seeks to invest in stocks that exhibit low statistical risk (low volatility and low market beta 1 1 Close Beta is a measure of a stock’s sensitivity to movements of the overall stock market. ) and exhibit high-quality characteristics, such as stable earnings and high profit margins. These stocks generally are less volatile than the market average, and have the potential to produce higher risk-adjusted returns over a full market cycle than capitalization-weighted market indices.
Why Invest in the Large Cap Defensive Style Fund?
Seeks Market-Like Returns with Lower Risk
Seeks to Outperform During Down Markets
Exposure to High Quality Companies
Sector Exposures
As of December 31, 2022
| Fund | Benchmark | Fund - Index | |
|---|---|---|---|
| Communication Services | 6.47% | 7.05% | -0.57% |
| Consumer Discretionary | 1.99% | 9.94% | -7.95% |
| Consumer Staples | 19.31% | 6.77% | 12.54% |
| Energy | 2.98% | 5.18% | -2.20% |
| Financials | 11.06% | 11.98% | -0.91% |
| Health Care | 23.80% | 15.48% | 8.32% |
| Industrials | 11.23% | 9.36% | 1.86% |
| Information Technology | 13.47% | 25.15% | -11.69% |
| Materials | 2.42% | 2.93% | -0.52% |
| Real Estate | 0.54% | 3.11% | -2.57% |
| Utilities | 6.73% | 3.04% | 3.69% |
| Total | 100.00% | 100.00% | 0.00% |
Top 10 Holdings
As of December 31, 2022
| % of Net Assets | |
|---|---|
| VERIZON COMMUNICATIONS INC. | 1.57% |
| AT&T INC. | 1.53% |
| GILEAD SCIENCES, INC. | 1.52% |
| THE COCA-COLA COMPANY | 1.50% |
| THE PROCTER & GAMBLE COMPANY | 1.50% |
| UNITEDHEALTH GROUP INCORPORATED | 1.50% |
| JOHNSON & JOHNSON | 1.50% |
| ELI LILLY AND COMPANY | 1.50% |
| Pepsico, Inc. | 1.49% |
| CVS HEALTH CORPORATION | 1.49% |
| Total | 15.09% |
Portfolio Statistics
As of December 31, 2022
| # of stocks | 237 |
|---|---|
| EPS Growth (5 Year) | 14.06 |
| P/B | 3.70 |
| P/E (trailing 12 months) | 20.92 |
| Debt/Equity | 0.65 |
| Median Market Cap ($MM) | 36,180 |
| Average Market Cap ($MM) | 172,909 |
| Predicted Beta | 0.74 |
Annualized Total Returns
As of February 28, 2023
| MTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 7/9/2012 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Large Cap Defensive Style Fund | -3.36% | -0.96% | -5.09% | 8.93% | 8.63% | 12.08% | 12.34% | 0.38% | 0.38% |
| Russell 1000 Total Return Index | -2.38% | 4.17% | -8.21% | 11.92% | 9.68% | 12.09% | 12.73% |
| AQR Large Cap Defensive Style Fund | Russell 1000 Total Return Index | |
|---|---|---|
| MTD | -3.36% | -2.38% |
| YTD | -0.96% | 4.17% |
| 1YR | -5.09% | -8.21% |
| 3YR | 8.93% | 11.92% |
| 5YR | 8.63% | 9.68% |
| 10YR | 12.08% | 12.09% |
| Since Inception 7/9/2012 | 12.34% | 12.73% |
| Gross Expense Ratio | 0.38% | |
| Net Expense Ratio* | 0.38% |
As of December 30, 2022
| QTD | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception 7/9/2012 | Gross Expense Ratio | Net Expense Ratio* | |
|---|---|---|---|---|---|---|---|---|---|
| AQR Large Cap Defensive Style Fund | 10.41% | -13.75% | -13.75% | 6.40% | 9.10% | 13.04% | 12.65% | 0.38% | 0.38% |
| Russell 1000 Total Return Index | 7.24% | -19.13% | -19.13% | 7.35% | 9.13% | 12.37% | 12.50% |
| AQR Large Cap Defensive Style Fund | Russell 1000 Total Return Index | |
|---|---|---|
| QTD | 10.41% | 7.24% |
| YTD | -13.75% | -19.13% |
| 1YR | -13.75% | -19.13% |
| 3YR | 6.40% | 7.35% |
| 5YR | 9.10% | 9.13% |
| 10YR | 13.04% | 12.37% |
| Since Inception 7/9/2012 | 12.65% | 12.50% |
| Gross Expense Ratio | 0.38% | |
| Net Expense Ratio* | 0.38% |
Cliff Asness
Managing & Founding Principal
- 31 years of experience
- 25 years at AQR
Ph.D., M.B.A., University of Chicago
B.S., B.S., University of Pennsylvania
Michele L. Aghassi
Principal
- 24 years of experience
- 17 years at AQR
Ph.D., Massachusetts Institute of Technology
B.S., Brown University
John J. Huss
Principal
- 19 years of experience
- 13 years at AQR
S.B., Massachusetts Institute of Technology
Andrea Frazzini
Principal
- 18 years of experience
- 14 years at AQR
Ph.D., Yale University
M.S., London School of Economics
B.S., University of Rome III
Lars N. Nielsen
Principal
- 23 years of experience
- 23 years at AQR
M.S., B.S., University of Copenhagen
Investment Minimums
| Institutional Investors | None |
|---|---|
| Accounts Offered by Financial Advisors | None |
| Individual Investors | $5 Million |
Shareholder Fees
| Sales Load | None |
|---|---|
| Deferred Sales Load | None |
| Redemption Fees | None |
Annual Fund Operating Expenses
| Management Fee | 0.25% |
|---|---|
| Distribution (12b-1) Fee | None |
| Other Expenses | |
| Dividends On Short Sales and/or Interest Expense | 0.01% |
| All Other Expenses | 0.12% |
| Acquired Fund Fees | None |
| Gross Expenses | 0.38% |
| Less: Fee Waivers and/or Expense Reimbursements | 0.00% |
| Net Expenses* | 0.38% |
| Adjusted Expense Ratio** | 0.37% |
|---|
An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.
Information about how each Fund voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30 will be available no later than August 31. Please click here to view the most recent Form N-PX for the AQR Funds.
PRINCIPAL RISKS:
Past performance is no guarantee of future results. An investment in the Funds involves risk, including loss of principal.
Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.
This Fund is not suitable for all investors. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest.
Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns shown are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.
© AQR Funds are distributed by ALPS Distributors, Inc. AQR Capital Management, LLC is the Investment Manager of the Funds and a federally registered investment adviser. ALPS Distributors is not affiliated with AQR Capital Management.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus or summary prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest.
View definitions of benchmarks and other terms used here.
Diversification does not eliminate risk. Indexes are unmanaged and one cannot invest directly in an index.
Prior to October 18, 2021 the AQR Macro Opportunities Fund was known as the AQR Global Macro Fund.
The information provided herein (including any separate documents that may be accessed through this website) is not directed at any investor or category of investors and is provided solely as general information about our products and services and to otherwise provide general investment education. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of AQR Capital Management, LLC (“AQR Capital”) nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement investor, contact your financial advisor or other fiduciary unrelated to AQR about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances.
There are risks involved with investing including the possible loss of principal.
Past performance does not guarantee future results.
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